On the characteristic function for asymmetric student t distributions

Saralees Nadarajah; Stephen Chan; Emmanuel Afuecheta

doi:10.1016/j.econlet.2013.08.034

On the characteristic function for asymmetric student t distributions

Saralees Nadarajah^*, Stephen Chan, Emmanuel Afuecheta

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

Following up on the work of Nadarajah and Teimouri [Nadarajah, S., Teimouri, M., 2012. On the characteristic function for asymmetric exponential power distributions. Econometric Reviews 31, 475-481], we derive here, for the first time, explicit closed-form expressions for the characteristic function of the asymmetric Student t distribution. The expressions involve hypergeometric and Bessel type functions.

Original language	English
Pages (from-to)	271-274
Number of pages	4
Journal	Economics Letters
Volume	121
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2013.08.034
State	Published - Nov 2013
Externally published	Yes

Keywords

Asymmetric Student t distribution
Characteristic function
Hypergeometric function

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.econlet.2013.08.034

Cite this

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title = "On the characteristic function for asymmetric student t distributions",

abstract = "Following up on the work of Nadarajah and Teimouri [Nadarajah, S., Teimouri, M., 2012. On the characteristic function for asymmetric exponential power distributions. Econometric Reviews 31, 475-481], we derive here, for the first time, explicit closed-form expressions for the characteristic function of the asymmetric Student t distribution. The expressions involve hypergeometric and Bessel type functions.",

keywords = "Asymmetric Student t distribution, Characteristic function, Hypergeometric function",

author = "Saralees Nadarajah and Stephen Chan and Emmanuel Afuecheta",

year = "2013",

month = nov,

doi = "10.1016/j.econlet.2013.08.034",

language = "English",

volume = "121",

pages = "271--274",

journal = "Economics Letters",

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AU - Nadarajah, Saralees

AU - Chan, Stephen

AU - Afuecheta, Emmanuel

PY - 2013/11

Y1 - 2013/11

N2 - Following up on the work of Nadarajah and Teimouri [Nadarajah, S., Teimouri, M., 2012. On the characteristic function for asymmetric exponential power distributions. Econometric Reviews 31, 475-481], we derive here, for the first time, explicit closed-form expressions for the characteristic function of the asymmetric Student t distribution. The expressions involve hypergeometric and Bessel type functions.

AB - Following up on the work of Nadarajah and Teimouri [Nadarajah, S., Teimouri, M., 2012. On the characteristic function for asymmetric exponential power distributions. Econometric Reviews 31, 475-481], we derive here, for the first time, explicit closed-form expressions for the characteristic function of the asymmetric Student t distribution. The expressions involve hypergeometric and Bessel type functions.

KW - Asymmetric Student t distribution

KW - Characteristic function

KW - Hypergeometric function

UR - https://www.scopus.com/pages/publications/84884300129

U2 - 10.1016/j.econlet.2013.08.034

DO - 10.1016/j.econlet.2013.08.034

M3 - Article

AN - SCOPUS:84884300129

SN - 0165-1765

VL - 121

SP - 271

EP - 274

JO - Economics Letters

JF - Economics Letters

IS - 2

ER -

On the characteristic function for asymmetric student t distributions

Abstract

Keywords

ASJC Scopus subject areas

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